Chronic heart failure (CHF) is a significant cause of worldwide mortality and morbidity, whose clinical picture is characterized by exercise intolerance and impaired quality of life. Aerobic exercise training is a well-established nonpharmacological tool improving the CHF’s pathophysiological, clinical, and prognostic picture, and prescription of an adequate training intensity is crucial to obtain both exercise-induced benefits and a reasonable control of exercise-related risk. However, clarity is still lacking regarding the definition of exercise intensity domains and the lower and upper intensity limits of prescriptible aerobic exercise in CHF patients. The purpose of this review is to provide an update of the methods for the exercise intensity assessment and continuous aerobic training intensity prescription in the CHF population, furnishing indications useful for implementation of physical rehabilitation programs in these patients.